We do not forecast market direction; we measure relationships between prices. Every strategy follows the same principle: identify an explainable pricing dislocation, then capture its convergence within a strict risk budget.
A position opens when the spread leaves its mean level beyond a statistical threshold, and unwinds as the price relationship converges. Every step is tested against risk limits and liquidity constraints.
Illustrative only · explains methodology, not past or expected performance
Thousands of price relationships tracked and standardised in real time.
A signal fires when the dislocation clears its threshold and liquidity allows.
Algorithmic slicing controls impact cost and slippage on the way in.
As the relationship reverts, the position unwinds and releases risk budget.
Each family has its own signal source, capacity limit and risk allowance. Because they correlate weakly, together they make the portfolio robust.
Cointegration · mean reversion
Pair and basket portfolios built on cointegration and mean-reversion properties, capturing short-horizon dislocations at medium to high frequency.
Venues · linked products
Monitoring spread structures across venues, contracts and closely related products to capture the reversion of structural dislocations.
Physical · carry · delivery
Physical trade resources combined with derivative positions to build low directional exposure around basis, carry and delivery logic.
Implied vs realised
Delta-neutral portfolios centred on the gap between implied and realised volatility, capturing mispricing in the volatility surface.
Term structure · events
Time-dimension spread portfolios around contract expiry, index rebalancing, seasonality and industrial cycles.
Forwards · swaps
Serving cross-border settlement and capital flows, managing currency and interest rate exposure through forwards and swaps.
| StatArb | Cross-market | Basis | Volatility | Calendar | FX & Rates | |
|---|---|---|---|---|---|---|
| StatArb | 1.0 | .22 | .18 | .11 | .16 | .07 |
| Cross-market | .22 | 1.0 | .27 | .14 | .21 | .12 |
| Basis | .18 | .27 | 1.0 | .09 | .24 | .19 |
| Volatility | .11 | .14 | .09 | 1.0 | .17 | .08 |
| Calendar | .16 | .21 | .24 | .17 | 1.0 | .10 |
| FX & Rates | .07 | .12 | .19 | .08 | .10 | 1.0 |
It begins with a diagnosis of your requirements; we respond with an executable plan grounded in data and experience.